DAILY DERIVATIVE REPORT

24 MAY 2016

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Indian indices once again ended in the red extending its losing streak to fourth consecutive trading session. Equity

market in India did start off on a promising note tracking overnight gains in the US markets, however it was short

lived as indices lost ground gradually.

Finally, the BSE Sensex ended with a loss of 72 points at 25,230. The BSE Sensex opened at 25,519 touched an intra-

day high of 25,519.26 and low of 25,208. The NSE Nifty closed with a loss of 19 points at 7,731. The NSE Nifty

opened at 7,814 hitting a high of 7,821 and low of 7,722.

Post a positive start, the Nifty tried to surpass key hurdle of 7800 supported by some buying in first half of the day’s

trade. However, failure to cross this crucial level resulted in sharp sell-off in later half. After falling by around 60

points from day’s high, the index finally concluded 22 points lower.

FIIs sold | 66 crore while DIIs sold | 168 crore in the cash segment. FIIs bought | 326 crore in index futures and | 1213

crore in index options. In stock futures, they bought | 386 crore

The highest Put base is at the 7700 strike with 52 lakh shares while the highest Call base is at the 8000 Call strike

with 88 lakh shares. The 7700 and 7800 Call strikes saw additions of 3.1 lakh and 8.6 lakh shares, respectively. The

7800 and 7900 Put strikes saw reductions of 3.1 lakh and 1.6 lakh shares, respectively

Nifty Future: The Nifty is likely to open flat to negative on the back of mixed global cues. It is likely to trade in the

range of 7700-7820. Sell Nifty in the range of 7780-7790 for targets of 7750-7720, stop loss: 7805

Bank Nifty Future: As the index futures finally closed below the sizeable put base of 16500. This may bring in a fresh

leg of selling, which would drag the index lower towards 16200 levels. Sell Bank Nifty in range of 16500-16550, tar-

gets: 16400-16300, stop loss: 16620

NIFTY SNAPSHOT & PIVOT POINTS

SPOT FUTURE COST OF

CARRY TOTAL FUT OI PCR OI PCR VOL ATM IV

CURRENT 7731 7745 21.72 21354525 0.83 0.75 15.01

PREVIOUS 7749 7763 10.71 19503075 0.83 0.80 15.67

CHANGE(%) -0.23 -0.24 9.49 - - -

PIVOT LEVELS S3 S2 S1 PIVOT R1 R2 R3

NIFTY FUTURE 7606 7686 7715 7766 7795 7846 7926

INDEX OUTLOOK

MARKET ROUND UP

DAILY DERIVATIVE REPORT

24 MAY 2016

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INTRADAY STRATEGY

i) ABIRLANUVO FUTURE ii) IBULHSGFIN FUTURE

Buy future around 1025-1040

Sell future around 710-700

View : Bullish View : Bearish

Strategy : Future Strategy : Future

Target1: 1065 Target 2 : 1090 Target1: 690 Target 2 : 680

Stop loss : 1000 Stop loss : 725

Market Lot : 250 ,CMP : 1035.35

Market Lot : 800 ,CMP : 695.90

STOCK ANALYSIS

OPEN INTEREST ACTIVITY

LONG BUILD UP SHORT BUILD UP

SYMBOL OI (LOTS) %

CHNG PRICE %CHNG SYMBOL OI (LOTS)

%

CHNG PRICE %CHNG

HDIL 4321.00 12.2 92.00 0.50 CASTROLIND 7089.00 53.4 378.00 [1.8]

LUPIN 16183.00 8.3 1645.90 0.20 KSCL 3780.00 16.1 434.80 [1.4]

PTC 1281.00 6.8 67.90 3.30 MARICO 3127.00 16.1 248.30 [1.4]

GLENMARK 5839.00 5.5 856.70 0.40 DHFL 3163.00 14.2 190.60 [6.0]

INFRATEL 2821.00 5.1 384.00 0.10 CUM-

MINSIND 742.00 11.4 849.65 [1.1]

OI addition : We saw long built up in hdil, lupin, ptc, glenmark, infratel while short built up was seen in

Castrol, kscl, marico, dhfl, Cummins ind.

OI Shedding : We saw short covering was seen in cadila health, ioc, page ind, and long unwinding was seen in

yesbank, federal bank, mind tree, bata india, exide ind.

DAILY DERIVATIVE REPORT

24 MAY 2016

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Instrument

Type

Symbol Expiry

Date

Option

Type

Strike

Price

LTP Traded

Volume

(Contracts)

Traded

Value

(Lakhs)

OPTSTK LUPIN 26MAY2016 CE 1,700 19.00 8,081 41,868.87

OPTSTK LUPIN 26MAY2016 CE 1,800 4.45 6,049 32,802.70

OPTSTK SBIN 26MAY2016 CE 190 0.45 6,032 23,004.84

OPTSTK LUPIN 26MAY2016 CE 1,750 8.40 5,747 30,415.54

OPTSTK RELIANCE 26MAY2016 CE 980 3.40 5,631 27,773.50

MOST ACTIVE CALLS

MOST ACTIVE PUTS

Instrument

Type

Symbol Expiry

Date

Option

Type

Strike

Price

LTP Traded

Volume

(Contracts)

Traded

Value

(Lakhs)

OPTSTK LUPIN 26MAY2016 PE 1,600 19.05 5,197 25,210.34

OPTSTK LUPIN 26MAY2016 PE 1,550 9.20 3,082 14,405.36

OPTSTK LUPIN 26MAY2016 PE 1,650 40.00 2,873 14,519.40

OPTSTK SBIN 26MAY2016 PE 170 2.90 2,803 9,641.20

OPTSTK SBIN 26MAY2016 PE 175 5.10 2,723 9,728.19

FII ACTIVITY (IN RS. CRORE)

BUY SELL OPEN INTEREST AT THE

END OF THE DATE

DERIVATIVE

PRODUCT

NO.OF

CON-

TRACTS

AMOUNT

IN CRORES

NO.OF

COTRACTS

AMOUNT

IN CRORES

NO. OF

CONTRACTS

AMOUNT

IN CRORES

INDEX FUTURES 35394 1994.47 40168 2287.76 271996 15491.38

INDEX OPTIONS 618082 35397.25 638697 36637.20 1267506 73157.45

STOCK FUTURES 117251 5776.82 110592 5350.00 1062517 50234.08

STOCK OPTIONS 72836 3652.00 74331 3725.45 91964 4356.80

DAILY DERIVATIVE REPORT

24 MAY 2016

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PRICE VOLUME OI MARKET

RISING UP UP STRONG

RISING DOWN DOWN WEAK

DECLINING UP UP WEAK

DECLINING DOWN DOWN STRONG

GENERAL RULES FOR OPEN INTEREST & VOLUME